Natural gas does contain propane as well as methane that occurs naturally in the ground and natural gas is just extracted from the ground in it's natural form and no refining is needed.
But for propane it's made from refining of fuels such as gasoline and is the byproduct of gasoline and other refined fuels.
Propane is also a hydrocarbon, like butane and ethane, that is part of other materials.
Natural gas is almost always cheaper as a heat source than propane is unless propane is all you can get vs other fuels such as heating oil or electricity.